We also don't know, but can highly suspect that the subjects in the cold shower group knew or could guess, what was wanted from them in this study. See, Prison Experiment by Zimbardo for the most extreme example, but people will behave in the way they "should" when you tell them the reason of your study.

The fact that the illness days didn't decline makes this study less viable. I'd like to see a followup, but it's hard to imagine a solid base to keep the participants in the dark. It should also be much longer than 30 days.